Comparison theorem for Brownian multidimensional BSDEs via jump processes (Q533992): Difference between revisions

This note provides a new comparison theorem for multidimensional BSDEs. Here each line \(k\) of the generator is assumed to depend on the matrix variable \(Z\) only through its row \(k\). In the proof, a random measure is introduced which allows one to use existing results for BSDEs with jumps.

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zbMATH Keywords

backward stochastic differential equation

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comparison theorem

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Poisson random measure

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full work available at URL

https://doi.org/10.1016/j.crma.2011.03.012

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cites work

Viability property for a backward stochastic differential equation and applications to partial differential equations

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On the comparison theorem for multidimensional BSDEs

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A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

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Backward stochastic differential equations with jumps and related nonlinear expectations

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Identifiers

zbMATH Open document ID

1218.60050

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DOI

10.1016/j.crma.2011.03.012

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:533992

@@ Property / cites work @@
+Viability property for a backward stochastic differential equation and applications to partial differential equations
+Normal rank
@@ Property / cites work @@
+On the comparison theorem for multidimensional BSDEs
+Normal rank
@@ Property / cites work @@
+A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
+Normal rank